Course MAT-64-15-K-7
High-Dimensional Integration (2V+1U, 4.5 LP)
Course Type
| SWS | Type | Course Form | CP (Effort) | Presence-Time / Self-Study | |
|---|---|---|---|---|---|
| - | K | Lecture with exercise classes (V/U) | 4.5 CP | 93 h | |
| 2 | V | Lecture | 28 h | ||
| 1 | U | Exercise class (in small groups) | 14 h | ||
| (2V+1U) | 4.5 CP | 42 h | 93 h | ||
Basedata
| SWS | 2V+1U |
|---|---|
| CP, Effort | 4.5 CP = 135 h |
| Position of the semester | 1 Sem. irreg. |
| Level | [7] Master (Advanced) |
| Language | [EN] English |
| Lecturers |
+ further Lecturers of the department Mathematics
|
| Area of study | [MAT-SPAS] Analysis and Stochastics |
| Livecycle-State | [NORM] Active |
Contents
Algorithms and Complexity of high and infinite-dimensional integration problems:
- Monte Carlo Method,
- discrepancy of point sequences and quasi Monte Carlo Method,
- randomisation,
- lower error bound and complexity of continuous problems,
- curse of dimension,
- quadrature problems for stochastic differential equations.
Literature
- E. Novak, H. Wozniakowski: Tractability of Multivariate Problems, Vol. I-III.
Materials
Further literature will be announced in the lecture.
Requirements for attendance (informal)
Knowledge on stochastic differential equations is useful, but not necessarily required.
Modules:
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-14-11-M-3] Introduction to Numerical Methods (M, 9.0 LP)
- [MAT-14-14-M-3] Stochastic Methods (M, 9.0 LP)
- [MAT-60-11-M-4] Probability Theory (M, 9.0 LP)
Requirements for attendance (formal)
None
References to Course [MAT-64-15-K-7]
| Module | Name | Context | |
|---|---|---|---|
| [MAT-64-15-M-7] | High-Dimensional Integration | P: Obligatory | 2V+1U, 4.5 LP |